Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0846 |
| Annualized Std Dev | 0.2222 |
| Annualized Sharpe (Rf=0%) | 0.3806 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4139.0000 |
| NAs | 1.0000 |
| Minimum | -0.1146 |
| Quartile 1 | -0.0053 |
| Median | 0.0010 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0068 |
| Maximum | 0.1190 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0140 |
| Skewness | -0.3620 |
| Kurtosis | 8.8281 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0103 |
| Gain Deviation | 0.0098 |
| Loss Deviation | 0.0114 |
| Downside Deviation (MAR=210%) | 0.0147 |
| Downside Deviation (Rf=0%) | 0.0101 |
| Downside Deviation (0%) | 0.0101 |
| Maximum Drawdown | 0.6492 |
| Historical VaR (95%) | -0.0215 |
| Historical ES (95%) | -0.0349 |
| Modified VaR (95%) | -0.0215 |
| Modified ES (95%) | -0.0405 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-10 | 2009-03-09 | 2013-03-08 | -0.6492 | 1361 | 354 | 1007 |
| 2020-02-13 | 2020-03-23 | 2020-11-10 | -0.4272 | 189 | 27 | 162 |
| 2018-01-29 | 2018-12-24 | 2019-11-01 | -0.2514 | 445 | 229 | 216 |
| 2015-02-25 | 2016-01-20 | 2016-07-12 | -0.1761 | 348 | 228 | 120 |
| 2006-05-10 | 2006-08-09 | 2007-01-16 | -0.1344 | 172 | 64 | 108 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 | NA | NA | NA | NA | NA | NA | NA | NA | 0.8 | 0.5 | 1 | -0.3 | 2.1 |
| 2005 | 0.7 | 0.4 | -0.9 | 0.8 | 0.4 | -0.1 | 0.3 | 0.9 | 0.5 | -0.5 | 1.1 | -0.5 | 3.1 |
| 2006 | 0.6 | 0.8 | 0.1 | 0.1 | 1.3 | 0.1 | -0.9 | 0.6 | -0.6 | -0.7 | -0.9 | -0.5 | -0.2 |
| 2007 | 1.3 | -0.5 | -0.1 | 0.3 | 0.2 | -0.2 | 0 | 1.3 | 1.7 | -2.2 | 0.6 | -0.8 | 1.6 |
| 2008 | 1.9 | -2.5 | 3.5 | 1.3 | 0.7 | -0.1 | -0.6 | -1.3 | -2.8 | 2.8 | -8.9 | 2.7 | -3.9 |
| 2009 | -2.4 | -2.4 | 1.7 | 0.8 | 4.8 | 0.7 | 0.4 | -1.9 | -2.7 | -2.8 | 1.5 | -1.3 | -3.8 |
| 2010 | 1.3 | 1.2 | 0.7 | -2.2 | -2 | -0.8 | 0.3 | 3.9 | 0.1 | -0.1 | 2.6 | 0 | 4.9 |
| 2011 | 1.6 | -2.2 | 0.9 | 0.5 | -3.2 | 1.8 | -0.5 | -1.9 | -3.2 | -3.4 | -0.2 | -0.4 | -9.9 |
| 2012 | 1.5 | 0.2 | 0.3 | 0.3 | -3.1 | 3.3 | -0.9 | 0.6 | 0.4 | 1.8 | -0.1 | 1.9 | 6.4 |
| 2013 | 1 | -0.2 | -1.2 | -1.5 | -0.8 | 1.1 | 1.8 | -0.8 | 0.8 | 0.7 | -0.3 | 0.5 | 0.9 |
| 2014 | -0.5 | 0.2 | 0.8 | -0.2 | 0 | 0.7 | -0.1 | 0 | -1.9 | 1.2 | -1.4 | -0.9 | -2.2 |
| 2015 | -1.7 | -0.5 | -0.9 | 1.2 | 0.4 | 0.2 | 0.1 | -2.6 | -0.2 | -0.2 | 0.6 | -0.6 | -4.3 |
| 2016 | -0.2 | 2 | 0.3 | -0.6 | 0 | 0.4 | -0.2 | 0.1 | 1 | -0.9 | 0.6 | -0.3 | 2.1 |
| 2017 | -0.1 | 1.8 | -0.2 | -0.2 | 0.9 | 0.8 | -0.2 | 0.3 | 0.2 | -0.1 | -1.1 | -0.3 | 1.7 |
| 2018 | 0 | -1.6 | 1.5 | -0.4 | 1.1 | 0.2 | -1.1 | 0 | 0.5 | 1.8 | 1 | 1 | 4.2 |
| 2019 | 0.2 | 0.3 | 2 | -0.8 | -1.4 | 0.3 | -2 | 0.4 | -2.3 | 2.1 | -0.7 | -0.1 | -2 |
| 2020 | -2.2 | -1.1 | -4.8 | -3.2 | 0.4 | -0.7 | -0.5 | 1.1 | 0.1 | -0.2 | -0.2 | 0.4 | -10.5 |
| 2021 | 1.4 | 2.7 | -0.6 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.6 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2004-09-29 49.2 SPY 112. 0.005 0.0026 0.0119 -0.0235 0.108 0.0936 -0.125 <NA> NA NA NA
2 2004-09-30 49.6 SPY 112. -0.0007 0.0073 0.0059 -0.0104 0.118 0.0701 -0.125 <NA> NA NA NA
3 2004-10-04 50.5 SPY 114. 0.0017 0.0279 0.0112 0.0174 0.111 0.0782 -0.113 <NA> NA NA NA
4 2004-10-05 50.3 SPY 114. 0.0005 0.0235 0.0159 0.015 0.102 0.061 -0.102 <NA> NA NA NA
5 2004-10-06 50.6 SPY 115. 0.0063 0.0249 0.0156 0.0287 0.104 0.0668 -0.110 <NA> NA NA NA
6 2004-10-07 50.3 SPY 113. -0.0102 0.0151 0.0077 0.0154 0.0881 0.058 -0.117 <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
